The development of a simple and intuitive rating system under Solvency II

DOI10.1016/J.INSMATHECO.2010.01.008MaRDI QIDQ659260zbMATH OpenOpenAlexFDO

Authors Elisabeth Van Laere, Bart Baesens

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.01.008

zbMATH Keywords

credit scoringinsuranceSolvency IIexternal ratingsinternal ratings

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Modelling of insurers' rating determinants. An application of machine learning techniques and statistical models
• Developing and testing models for replicating credit ratings: A multicriteria approach
• Quantifying credit and market risk under Solvency II: standard approach versus internal model
• A multicriteria approach for rating the credit risk of financial institutions
• Assessing and managing credit risk in retail financial services

Cites work

• scientific article; zbMATH DE number 1516979 (Why is no real title available?)
• A Comparison of the Rough Sets and Recursive Partitioning Induction Approaches: An Application to Commercial Loans
• Bankruptcy Prediction with Industry Effects
• Modelling of insurers' rating determinants. An application of machine learning techniques and statistical models
• Random survival forests models for SME credit risk measurement
• The influence of the business cycle on bankruptcy probability
• The pricing of options and corporate liabilities

Cited in

(2)

• Robust Eligible Own Funds and Value at Risk Under Solvency II System
• Modelling of insurers' rating determinants. An application of machine learning techniques and statistical models

This page was built for publication: The development of a simple and intuitive rating system under Solvency II

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q659260)